Derek R. White

UNSW Australia Business School, School of Banking and Finance

Dr.

Sydney, NSW 2052

Australia

  • UNSW Australia Business School, School of Banking and Finance

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SCHOLARLY PAPERS

4

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Top 21,277

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67

Scholarly Papers (4)

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1.

Hedge Fund Risk Factors and Value at Risk of Credit Trading Strategies

Number of pages: 63 Posted: 28 Nov 2003
John Okunev and Derek R. White
Bond University Business School and UNSW Australia Business School, School of Banking and Finance
Downloads 3,815 (5,961)
Citation 28

Abstract:

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Hedge Funds, Value at Risk

2.

Do Momentum Based Strategies Still Work in Foreign Currency Markets?

Number of pages: 57 Posted: 01 Jun 2001
Derek R. White and John Okunev
UNSW Australia Business School, School of Banking and Finance and Bond University Business School
Downloads 3,492 (6,900)
Citation 39

Abstract:

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Momentum, technical trading rules, GARCH, foreign exchange, bootstrap

3.

The Returns to Following Currency Forecasts

Number of pages: 62 Posted: 03 Jan 2004
Patrick Lehner, John Okunev and Derek R. White
Independent, Bond University Business School and UNSW Australia Business School, School of Banking and Finance
Downloads 968 (49,326)

Abstract:

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Currency, Foreign Exchange, Forecasts, Bayes

4.

Moment Matching for the Masses

Number of pages: 36 Posted: 04 Aug 2006
Derek R. White and John Okunev
UNSW Australia Business School, School of Banking and Finance and Bond University Business School
Downloads 412 (146,226)

Abstract:

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Value at Risk, Simulation, Cholesky decomposition, Risk Management